m****d
发帖数: 331 | 1 risk-neutral probabilities: q_i,
real-world probabilities: p_i
let c=dQ/dP which is a vector with entires c_i=q_i/p_i
Let x be the portfolio that replicates c.
what does "Let x be the portfolio that replicates c." mean?
anything related to market portfolio?
I know that if a portfolio can be replicated, it means that Ax=y can be
solved, where A is the payoff matrix. Thanks. | m****d
发帖数: 331 | 2 没有人明白?
【在 m****d 的大作中提到】
: risk-neutral probabilities: q_i,
: real-world probabilities: p_i
: let c=dQ/dP which is a vector with entires c_i=q_i/p_i
: Let x be the portfolio that replicates c.
: what does "Let x be the portfolio that replicates c." mean?
: anything related to market portfolio?
: I know that if a portfolio can be replicated, it means that Ax=y can be
: solved, where A is the payoff matrix. Thanks.
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